On the speed of convergence to an exponential distribution for the time of the first occurrence of a rare event in a regenerating process (Q2784126)

The sequence \((K_n)^\infty_1\) of regenerating processes is considered. For the process \(K_n\) during its \(k\)th regeneration interval \((t^{(n)}_k, t^{(n)}_{k+ 1})\) \((k\geq 1)\) some predictable ``rare'' event \(A^{(n)}_k\) can happen. The conditional probability of this event occurrence in the interval tends to zero as \(n\to\infty\). The first occurrence time \(\theta^{(n)}\) of the rare event in the process \(K_n\) is investigated. Let NEWLINE\[NEWLINE\zeta^{(n)}_k= (t^{(n)}_{k+ 1}- t^{(n)}_k) 1_{(A^{(n)}_k)^c}+ \eta^{(n)}_k 1_{A^{(n)}_k},NEWLINE\]NEWLINE where \(\eta^{(n)}_k\) is the first occurrence time (if any) of the event \(A^{(n)}_k\) in the \(k\)th interval. The distribution of the normalized value \(\theta^{(n)}\) is proved to converge to the standard exponential distribution with some determined velocity if the moment \(E(\zeta^{(n)}_1)^q\) for some \(q\in (1,2)\) is uniformly bounded. Earlier the similar assertion had been proved while \(2\leq q< 3\).